Are shorts equally informed? A global perspective

Are shorts equally informed? A global perspective

Short selling predicts future stock returns globally. We use 11 short-sale measures to examine the informativeness of short sales in 38 countries for the July 2006 to December 2014 period. We find that different short-sale measures display different return predictability. The days-to-cover ratio and...

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Bibliographic Details
Main Authors: BOEHMER, Ekkehart, HUSZAR, Zsuzsa R., WANG, Yanchu, WANG, Xiaoyan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Short selling
Short-sale Regulations
Market Development
Short-sale Ban
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5338
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6337/viewcontent/SSRN_id2668357.pdf
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Institution: Singapore Management University
Language: English
Description
Summary:Short selling predicts future stock returns globally. We use 11 short-sale measures to examine the informativeness of short sales in 38 countries for the July 2006 to December 2014 period. We find that different short-sale measures display different return predictability. The days-to-cover ratio and loan supply measures have the most robust predictive power in the global capital market. We also document significant cross-country differences in the predictive power of the short selling measures and find that return predictability is stronger in countries with mild forms of short-sale restrictions, better market quality, and more developed markets.

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